Modern Pricing of Interest-Rate Derivatives (eBook)

The LIBOR Market Model and Beyond

Riccardo Rebonato (Autor)

eBook Download: PDF

2012
488 Seiten
Princeton University Press (Verlag)
978-1-4008-2932-3 (ISBN)

Infos

Riccardo Rebonato is Head of Group Market Risk and Head of the Quantitative Research Centre (QUARC) for the Royal Bank of Scotland Group. He is also a Visiting Lecturer at Oxford University's Mathematical Institute, where he teaches for the MSC/Diploma in Mathematical Finance. His books include Interest-Rate Option Models and Volatility and Correlation in Option Pricing.

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In recent years, interest-rate modeling has developed rapidly in terms of both practice and theory. The academic and practitioners' communities, however, have not always communicated as productively as would have been desirable. As a result, their research programs have often developed with little constructive interference. In this book, Riccardo Rebonato draws on his academic and professional experience, straddling both sides of the divide to bring together and build on what theory and trading have to offer. Rebonato begins by presenting the conceptual foundations for the application of the LIBOR market model to the pricing of interest-rate derivatives. Next he treats in great detail the calibration of this model to market prices, asking how possible and advisable it is to enforce a simultaneous fitting to several market observables. He does so with an eye not only to mathematical feasibility but also to financial justification, while devoting special scrutiny to the implications of market incompleteness. Much of the book concerns an original extension of the LIBOR market model, devised to account for implied volatility smiles. This is done by introducing a stochastic-volatility, displaced-diffusion version of the model. The emphasis again is on the financial justification and on the computational feasibility of the proposed solution to the smile problem. This book is must reading for quantitative researchers in financial houses, sophisticated practitioners in the derivatives area, and students of finance.

Produkt-Details

• Erscheint lt. Verlag: 16.1.2012
• Zusatzinfo: 148 line illus. 41 tables.
• Verlagsort: Princeton
• Sprache: englisch
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Bankbetriebslehre
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre
• Schlagworte: Arbitrage • Bond option • Bond Yield • Calculation • Cash Flow • Computational Finance • Covariance function • Covariance matrix • Cross-Currency Swap • Currency • Derivative (finance) • discount function • discounting • Discounts and allowances • Economic equilibrium • efficient-market hypothesis • Eigenvalues and Eigenvectors • expected value • Extrapolation • Finance • Financial Instrument • financial modeling • Forward Rate • Forward Swap • Futures contract • future value • Hedge (finance) • Hedge Fund • Hedging Transaction • idealization • implied volatility • Inflation • insurance • Interest Rate • Interest rate cap and floor • Interest-Rate Derivative • Investment • investment company • Joint probability distribution • Liability (financial accounting) • Libor • Libor Market Model • Market Data • Market (economics) • market liquidity • Market Price • Market Value • Martingale (probability theory) • mathematical finance • monetary authority • money market • Moneyness • Monte Carlo Method • Numeraire • Option (finance) • orthogonalization • path dependence • Payment • Percentage Change • Predictor–corrector method • Prepayment Risk • Present Value • price • Price signal • Pricing • Principal Component Analysis • Probability Distribution • probability measure • Probability Theory • Puttable bond • quantitative analyst • Rates (tax) • Real interest rate • Relative value (economics) • Replicating Portfolio • Repurchase Agreement • Residual Time • Risk Aversion • Risk Premium • savings account • Securities Market • Security (finance) • state variable • stochastic • Stochastic Calculus • stochastic differential equation • Stochastic Simulation • Stochastic volatility • Stock market index • Supply and Demand • Supply (economics) • Swap (finance) • Swap rate • Swaption • Terminal value (finance) • Theoretical Value • Trading Book • Trading Strategy • Volatility Risk • Yield Curve
• ISBN-10: 1-4008-2932-1 / 1400829321
• ISBN-13: 978-1-4008-2932-3 / 9781400829323